Letterman contacted the Manhattan District Attorney's office, who launched an investigation.

Investigators advised Letterman to mail a phony $2 million check to the individual, which led to the extortionist's arrest on Thursday. Police have identified Robert Halderman, 51, an Emmy Award-winning producer, as a suspect.

Asked if he had sexual relationships, "My response to that is, yes I have. Would it be embarrassing if it were made public? Perhaps it would," Letterman told his audience. "I feel like I need to protect these people - I need to certainly protect my family."